Banking integration and house price co-movement
Name
correlation_jfe_revision2.pdf
Description
Accepted version
Size
933.44 KB
Format
Adobe PDF
Checksum (MD5)
f37225e603eee100f59eaffb60fd5a95
Author(s)
Landier, Augustin
Sraer, David
Thesmar, David Jean Joseph
Alternative Title
Banking Integration and House Price Co-movement
Date Issued
July 2017
Journal
Journal of Financial Economics
Publisher
Elsevier BV
Citation
Landier, Augustin et al. "Banking integration and house price co-movement." Journal of Financial Economics 125, 1 (July 2017): 1-25 © 2017 Elsevier
Version
Author's final manuscript
Abstract
The correlation in house price growth across US states increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and show that house price growth correlation is strongly related to this measure of financial integration. Our instrumental variable estimates suggest that banking integration can explain up to one-fourth of the rise in house price correlation over this period. Keywords: Financial integration; Co-movement; House prices
MIT Department
Sloan School of Management
Terms of Use
Creative Commons Attribution-NonCommercial-NoDerivs License
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1016/j.jfineco.2017.03.001
